Estimating Excess Sensitivity and Habit Persistence in Consumption Using Greenbook Forecast as an Instrument

Vipul Bhatt, N. Kishor, H. Marfatia
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引用次数: 1

Abstract

In this paper, we revisit the issue of excess sensitivity of consumption to income and address the weak instrument problem that is well documented in this literature. Using quarterly data for the U.S. economy, we first highlight the weak instrument problem by showing that the use of conventional instruments tends to overestimate the share of rule-of-thumb consumers. To address this weak instrument problem, we propose a new instrument for endogenous disposable income growth in the consumption function, namely, the Greenbook forecast of real disposable income growth. We show that this instrument encompasses the information contained in the conventional set of instruments, and is a superior predictor of income growth. We find that using our proposed instrument ameliorates the weak instrument problem and provides a much smaller estimate for the rule-of-thumb consumers. We also extend our empirical framework to allow for habit persistence and provide an estimate for this important parameter of the consumption function. Finally, we use a time-varying specification of consumption function that allows for endogenous regressors, and document a decline in the share of rule-of-thumb consumers and a rise in the habit- persistence parameter in the U.S. over our sample period. We find that an increase in credit growth and supplementary income benefits are negatively correlated with share of rule-of-thumb consumers, whereas they are positively correlated with habit persistence parameter.
使用绿皮书预测作为工具来估计消费中的过度敏感性和习惯持久性
在本文中,我们重新审视了消费对收入的过度敏感性问题,并解决了本文献中充分记录的弱工具问题。使用美国经济的季度数据,我们首先通过显示传统工具的使用往往高估了经验法则消费者的份额来强调工具薄弱的问题。为了解决这一薄弱的工具问题,我们提出了消费函数内生可支配收入增长的新工具,即实际可支配收入增长的绿皮书预测。我们表明,该工具包含的信息包含在传统的工具集,是一个优越的预测收入增长。我们发现使用我们提出的仪器改善了弱仪器问题,并为经验法则的消费者提供了一个小得多的估计。我们还扩展了我们的经验框架,以允许习惯持久性,并为消费函数的这一重要参数提供估计。最后,我们使用允许内生回归的消费函数的时变规范,并记录了在我们的样本期间,美国经验消费者份额的下降和习惯持久性参数的上升。我们发现,信贷增长和补充收入福利的增加与经验消费者的份额呈负相关,而与习惯持久性参数呈正相关。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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